needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is …

We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We … investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree …

We develop and test a model in which swap spreads are determined by end users’ demand for and constrained … intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital … Financial Crisis when swap spreads turned negative and that this variable predicts the excess returns on swap spread trades …

that the swap dealer behaves as if he tries to align the risks of the transactions in pricing CCBSs, which causes CIP to …